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Interest rate skewness and biased beliefs

Bauer, Michael D.; Chernov, Mikhail - 2021 - First draft: January 2021, this draft: June 16, 2021

Conditional yield skewness is an important summary statistic of the state of the economy. It exhibits pronounced … curve. Most importantly, variation in yield skewness has substantial forecasting power for future bond excess returns, high … COVID pandemic did not disrupt these relations: historically high skewness correctly anticipated the run-up in long …

Persistent link: https://www.econbiz.de/10012547050

Interest rate skewness and biased beliefs

Bauer, Michael D.; Chernov, Mikhail - 2021 - This draft: June 16, 2021

Persistent link: https://www.econbiz.de/10012584702

A Keynesian approach to modeling the long-term interest rate

Akram, Tanweer - 2021

There are several widely used benchmark models of the long-term interest rate in quantitative finance. However, these models have yet to incorporate Keynes's valuable insights about interest rate dynamics. The Keynesian approach to interest rate dynamics can be readily incorporated in the...

Persistent link: https://www.econbiz.de/10012548206

Interest Rate Swap Compounding Formulae

Burgess, Nicholas - 2021

Persistent link: https://www.econbiz.de/10013217334

Multifactor Keynesian Models of the Long-Term Interest Rate

Akram, Tanweer - 2021

This paper presents multifactor Keynesian models of the long-term interest rate. In recent years there have been a proliferation of empirical studies based on the Keynesian approach to interest rate modeling. However, standard multifactor models of the long-term interest rate in quantitative...

Persistent link: https://www.econbiz.de/10013219478

A Keynesian Approach to Modeling the Long-Term Interest Rate

Akram, Tanweer - 2021

There are several widely used benchmark models of the long-term interest rate in quantitative finance. However, these models have yet to incorporate Keynes’s valuable insights about interest rate dynamics. The Keynesian approach to interest rate dynamics can be readily incorporated in the...

Persistent link: https://www.econbiz.de/10013223547

A GARCH approach to modeling Chilean long-term swap yields

Akram, Tanweer; Mamun, Khawaja Abdullah al - 2022

This paper econometrically models the dynamics of the Chilean interbank swap yields based on macroeconomic factors. It examines whether the month-over-month change in the short-term interest rate has a decisive influence on the long-term swap yield after controlling for other factors, such as...

Persistent link: https://www.econbiz.de/10013254272

An empirical analysis of long-term Brazilian interest rates

Akram, Tanweer; Uddin, Syed Helal - 2020

This paper empirically models the dynamics of Brazilian government bond (BGB) yields based on monthly macroeconomic data in the context of the evolution of Brazil's key macroeconomic variables. The results show that the current short-term interest rate has a decisive influence on BGBs' long-term...

Persistent link: https://www.econbiz.de/10012222455

The empirics of UK gilts' yields

Akram, Tanweer; Li, Huiqing - 2020

This paper analyzes the nominal yields of UK gilt-edged securities ("gilts") based on a Keynesian perspective, which holds that the short-term interest rate is the primary driver of the long-term interest rate. Quarterly data are used to model gilts' nominal yields. These models bring to light...

Persistent link: https://www.econbiz.de/10012291941

Some empirical models of Japanese government bond yields using daily data

Akram, Tanweer; Li, Huiqing - 2020

This paper models the dynamics of Japanese government bond (JGB) nominal yields using daily data. Models of government bond yields based on daily data, such as those presented in this paper, can be useful not only to investors and market analysts, but also to central bankers and other...

Persistent link: https://www.econbiz.de/10012249738

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